相关论文: Optimal scheduling of critically loaded multiclass…
This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…
We consider the problem of service rate control of a single server queueing system with a finite-state Markov-modulated Poisson arrival process. We show that the optimal service rate is non-decreasing in the number of customers in the…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…
We analyze the problem of scheduling in wireless networks to meet end-to-end service guarantees, defined by instantaneous throughput and hard packet deadlines. Using a network slicing model to decouple the queueing dynamics between flows,…
In this paper, we analyze a retrial queueing system with Batch Markovian Arrival Processes and two types of customers. The rate of individual repeated attempts from the orbit is modulated according to a Markov Modulated Poisson Process.…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
We propose a comprehensive framework for policy gradient methods tailored to continuous time reinforcement learning. This is based on the connection between stochastic control problems and randomised problems, enabling applications across…
A key operational challenge for call centers is to decide, in real time, which waiting customer should be served by which available agent. This is known as skill-based routing, and the decision becomes especially difficult in large systems…
This paper presents an extension of Naor's analysis on the join-or-balk problem in observable M/M/1 queues. While all other Markovian assumptions still hold, we explore this problem assuming uncertain arrival rates under the…
This paper investigates an infinite horizon discounted linear-quadratic (LQ) optimal control problem for stochastic differential equations (SDEs) incorporating regime switching and mean-field interactions. The regime switching is modeled by…
In this article, we investigate a dynamic control problem of a production-inventory system. Here, demands arrive at the production unit according to a Poisson process and are processed in an FCFS manner. The processing time of the…
We consider the problem of customer equilibrium strategies in an M/M/1 queue under dynamic service control. The service rate switches between a low and a high value depending on system congestion. Arriving customers do not observe the…
We study a double-ended queue which consists of two classes of customers. Whenever there is a pair of customers from both classes, they are matched and leave the system immediately. The matching follows first-come-first-serve principle. If…
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time horizons. There are two control actions: a standard control…
We consider a type of optimal switching problems with non-uniform execution delays and ramping. Such problems frequently occur in the operation of economical and engineering systems. We first provide a solution to the problem by applying a…
We prove a many-server heavy-traffic fluid limit for an overloaded Markovian queueing system having two customer classes and two service pools, known in the call-center literature as the X model. The system uses the…
The finite state semi-Markov process is a generalization over the Markov chain in which the sojourn time distribution is any general distribution. In this article we provide a sufficient stochastic maximum principle for the optimal control…
Markov jump processes are widely used to model natural and engineered processes. In the context of biological or chemical applications one typically refers to the chemical master equation (CME), which models the evolution of the probability…
In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…
In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underlying continuous-time jump Markov processes and the cost rates…